Análise dos impactos esperados e não-esperados da taxa de juros, câmbio e inflação no mercado brasileiro

Abstract

This paper examined the expected and non-expected impacts for interest rates, exchange and inflation rates in the Brazilian market. For this purpose, was applied the ARIMA model to estimate the expected value of the first differences of these variables, under a sample of 383 weekly observations for the period from 02/03/2003 to 19/12/2007. Finally, the results indicate that only unexpected shocks in the exchange rate on stock returns were significant.